Working Paper

A Note on Arbitrage under Transaction Costs

Authors

  • Claas Prelle
  • Albrecht Irle
Publication Date

Guasoni (2006) introduced a simple condition for the absence of arbitrage opportunities. In this note we show that his results remain valid under a weaker notion of arbitrage which arises by excluding liquidation costs from the value process of a portfolio.

Info

JEL Classification
G10, G12, C60

Key Words

  • Arbitrage
  • fractional Brownian motion
  • transaction costs